FINANCIAL TRUST COMPANY INC ACCT.
For the Period 9/1/1I to 9/30/11
Adjusted Tax Cost Unreakzed Est. Annual Income
Price Quantity Value Original Cost Gain/Loss Accrued Interest Yield
Complementary Structured Strategies
JPY PUT CAD CALL 0.02 832.500.000 00 142.241 12 411,436.90 (269,195.78)
FX EUROPEAN STYLE OPTION
AUG 13, 2012 (183.25
XJPYPA-YX-Z CAD
SOD CALL USD PUT 0.17 12,600,000.00 22,029.18 120,000.00 (97.970.82)
FX EUROPEAN STYLE OPTION
OCT 19, 2011 01.26
XSGDCA-CD-Z
Total Complementary Structured Strategies ($698,666.38) $201,000.00 ($799,666.38) $0.00 0.00%
Market Value
Receivable
Trade Date Currency Amount Contract Current Market Market Value Unrealized
Settlement Date Counter Currency Counter Amount Rate Forward Rate Payable Gain Loss
Foreign Exchange Contracts
CHINESE RENMNBI Jan. 13 11 CNY 64,200,000.00 6.420000 6.408384 10,018,125.72 18,125.72
US DOLLAR Jan. 18 12 USD (10,000,000.00) 10,000,000.00
CHVIIESE RENMNBI Jun.8 11 CNY 31,818,000.00 6.363600 6.424326 4,952,737.50 (47282.50)
US DOLLAR Jun. 11 12 USD (5,000,000.00) 5,000,000.00
RADIAN RUPEE Sep. 711 INR 457,000,000.00 46.421000 49.903088 9,157,749.88 (686,932.48)
US DOLLAR Dec. 911 USD (9,844,682.36) 9,844,682.36
INDIAN RUPEE Sep. 19 11 INR (457,000,000.00) 48.700000 49.903088 9,383,983.57 226233.69
US DOLLAR Dee. 911 USD 9,383,963.57 9,157,749.88
JP Morgan Account Page 15 of 26 Page 18 of 42
Confidential Treatment Requested by JPMorgan JPM-SDNY-00015120
Chase
CONFIDENTIAL SDNY_GM_00284318
EFTA01492375